Conditional-value-at-risk estimation via reduced-order models
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Recommendations
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- Scenario reduction for stochastic programs with conditional value-at-risk
- On variance reduction of mean-CVaR Monte Carlo estimators
Cites work
- Algorithms and analyses for stochastic optimization for turbofan noise reduction using parallel reduced-order modeling
- An adaptive local reduced basis method for solving PDEs with uncertain inputs and evaluating risk
- An efficient surrogate-based method for computing rare failure probability
- Combining multiple surrogate models to accelerate failure probability estimation with expensive high-fidelity models
- Confidence intervals for quantiles when applying variance-reduction techniques
- Controlled stratification for quantile estimation
- Lectures on stochastic programming. Modeling and theory.
- Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
- Multifidelity importance sampling
- Multifidelity preconditioning of the cross-entropy method for rare event simulation and failure probability estimation
- Nonlinear model reduction via discrete empirical interpolation
- Optimization of Convex Risk Functions
- Some remarks on the value-at-risk and the conditional value-at-risk
Cited in
(18)- Inference for conditional value-at-risk of a predictive regression
- Adaptive reduced-order model construction for conditional value-at-risk estimation
- Wasserstein sensitivity of risk and uncertainty propagation
- Optimal Neumann boundary control of a vibrating string with uncertain initial data and probabilistic terminal constraints
- A multifidelity quantile-based approach for confidence sets of random excursion sets with application to ice-sheet dynamics
- An Interior-Point Approach for Solving Risk-Averse PDE-Constrained Optimization Problems with Coherent Risk Measures
- An Efficient, Globally Convergent Method for Optimization Under Uncertainty Using Adaptive Model Reduction and Sparse Grids
- Meta variance reduction for Monte Carlo estimation of energetic particle confinement during stellarator optimization
- Context-Aware Surrogate Modeling for Balancing Approximation and Sampling Costs in Multifidelity Importance Sampling and Bayesian Inverse Problems
- Modern Monte Carlo methods for efficient uncertainty quantification and propagation: a survey
- Generalized polynomial chaos expansion by reanalysis using static condensation based on substructuring
- On the latent dimension of deep autoencoders for reduced order modeling of PDEs parametrized by random fields
- An approximate control variates approach to multifidelity distribution estimation
- An adaptive importance sampling algorithm for risk-averse optimization
- Risk-averse constrained blackbox optimization under mixed aleatory/epistemic uncertainties
- Optimization problems governed by systems of PDEs with uncertainties
- Sampling low-fidelity outputs for estimation of high-fidelity density and its tails
- Risk-adaptive approaches to stochastic optimization: a survey
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